Anmerkungen:
In: Journal of Managerial Sciences, Volume XI, Number 3
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 9, 2018 erstellt
Beschreibung:
The study examines the effect of macro-economic factors on downside systematic risk with moderating role of socio-political index. The Macro-economic factors cover keys aspect such as monetary policy, fiscal policy and international activities. The research used two proxies like terrorism and assassination to construct socio-political index. Further, the research used DCAPM of Estrada (2002) to estimate the downside systematic risk. The study considered a sample size of 250 non-financial firms from 2003-214.The study results reveal that macroeconomic factors such as gross domestic product, interest rate, money supply, inflation, terms spread, government budget deficit as percentage of GDP, current account, foreign reserves, foreign exchange rate significantly affect the downside systematic risk. The study also confirms the moderating role of socio-political index